LAUSR

Proximal Limited-Memory Quasi-Newton Methods for Scenario-based Stochastic Optimal Control

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0 Published in 2017 at "IFAC-PapersOnLine"

DOI: 10.1016/j.ifacol.2017.08.1372

Abstract: Abstract Stochastic optimal control problems are typically of rather large scale involving millions of decision variables, but possess a certain structure which can be exploited by first-order methods such as forward-backward splitting and the alternating… read more here.

Keywords: limited memory; proximal limited; stochastic optimal; optimal control ... See more keywords